Foreign exchange rate data normally contain four quotation figures
for daily prices: opening, high, low and closing values.
It should be noted that the daily opening and closing
rates have special significance, as each may hold some additional
psychological importance and or may trigger a transaction response
simply by holding their particular designation. These four prices
encapsulate market activity for any particular session. Within
this paradigm, volatility can be calculated through a straightforward
algorithm:

By definition, this indicator will be positive during periods
of advancing observed values, and negative during periods of declining
observed values.